ESM22 Daily Debrief 03/28/2022
Market Overview
The yield curve (10-yr versus 2-yr spread) has hit it’s lowest level since February 2020. When this yield curve turns negative or inverts, it has been a reliable lead indicator of a recession. The 5-yr and 30-yr yield curve inverted today for the first time since 2006.
Three out of four indices finished green today. The Russell 2000 was the lone underperformer. Tesla jumped 8% on news that it’s looking to split for the 2nd time in two years (pending shareholder vote).
Futures
ESM22: 4568 (+0.69%)
NQM22: 14985.25 (+1.56%)
YMM22: 34853 (+0.27%)
RTYM22: 2074.8 (-0.02%)
CLM22: 105.96 (-6.97%)
ZNM22: 121’225 (+0.13%)
ZBM22: 147’20 (+0.38%)
Crypto
BTCUSD: 47144.92 (+0.63%)
ETHUSD: 3334.47 (+1.16%)
Interest Rates
US02Y: 2.332% (+2.46%)
US10Y: 2.462% (-0.69%)
Stocks (Top 5)
AAPL: 175.60 (+0.50%)
MSFT: 310.70 (+2.31%)
GOOGL: 2829.11 (-0.15%)
AMZN: 3379.81 (+2.56%)
TSLA: 1091.84 (+8.03%)
Top-Down Analysis
Monthly Time Frame: A new monthly high for March that was reached today has ES on the door step of the February high of 4586. Does a seller step in there to cool the recent rally?
Weekly Time Frame: This week started off right where the last two weeks left off. On the upside, 4585 from the week of 02/07 is within reach. ES has been OTFU starting the week of 03/14. If ES can remain above last week’s low of 4415 for this entire week, that trend will continue.
Daily Time Frame: With today’s performance, ES has been OTFU on the daily chart for the past couple of sessions. The 02/10 HOD @ 4583.75 is the next level of interest. Today’s low could not take out the previous session’s low of 4493.25 before supply ran out.
Performance & Technicals
ES performance over the last 5 days:
ES Volume Profile for today:
ETH VAH: 4543.25
ETH VPOC: 4533.25
ETH VAL: 4514.25
RTH VAH: 4545.25
RTH VPOC: 4533.25
RTH VAL: 4513.25
Prior Day RTH Hi and Lo (Tomorrow’s T+2):
PDHi: 4539
PDLo: 4493.25
Here is an hourly chart of the past five sessions with ETH Volume Profile:
Today volume profile had a single HVN which happened to be close to the previous session’s VAH.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At the prior session’s close, wholesale was long. The ONO was within the prior day’s price range and above the value area. Overall, Globex was balanced. For the first few hours, overnight inventory sold off down to an ONL of 4514. At the London open, the inventory got long as supply shut off and an ONH of 4548.50 was reached. Inventory corrected at this point as ES was approaching RTH.
ONO: 4535.25
ONH: 4548.50
ONL: 4514
ONRange: 34.5
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The RTH open was within the prior day’s range and slightly above the VAH. The internals were mixed during the US open. NQ and big tech was flying, led mostly by Tesla. YM and RTY underperformed and other market internals were weak. During the first half hour period, ES was choppy around VWAP. However, after absorbing all the selling, the auction was able to grind higher and further away from the prior day’s VA. Supply was then met as ES failed to take out the ONH. In the second half hour of the IB period, shorts sold the market down below VWAP. ES couldn’t quite take out the A period low before supply shut off and shorts covered to push the market above VWAP again. ES closed the IB period almost 10 points higher than it opened.
IBO: 4529.5
IBH: 4546
IBL: 4525.75
IBRange: 20.25
Remaining Session:
Immediately following the IB period, longs pushed the auction up before meeting inventory and getting sold down below VWAP. This was temporary as within C period, supply shut off and longs moved the auction above VWAP again. During D period, shorts engaged in a stronger selloff. Supply pushed the market down again and took out the C low in the process. ES continued the selloff down into the prior day’s VPOC, which was about a 33 point descent, taking out the ONL and IBL in the process. Supply shut off at 4509.75. For the next few hours, longs bid the market up past the ONH and IBH to a new HOD @ 4572.25.